Thanks, just what I needed. Worth adding there is a bug in Mail where it will not play sounds on new mail if fetched by IMAP "idle" method rather than polling (see hints.macworld.com/article.php?story=20081227031321447). Instead, I made an applescript to play a sound and called that in the Mail Rule, which works fine.
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Nick MooreApr 15 '11 at 18:57

You can change ALL your Mail sound alerts by doing this:
Right Click the Mail.app - choose 'Show Package Contents'
Navigate to 'Resources'. There are 4 .aiff files:
Mail Fetch Error.aiff
Mail Sent.aiff
New Mail.aiff (That's the one you can change via the Mail, Preferences, General interface)
No Mail.aiff
Trash whichever one you want to change: you'll need your Administrator password
Find, create, whatever sound file (It must be the same format, ie: .aiff)
Rename it to the one above that you trashed
Transfer it to the Resources window
Confirm your admin password.